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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 洪茂蔚 | |
dc.contributor.author | Hsiu-Yun Chang | en |
dc.contributor.author | 張秀雲 | zh_TW |
dc.date.accessioned | 2021-06-08T07:23:55Z | - |
dc.date.copyright | 2008-07-26 | |
dc.date.issued | 2008 | |
dc.date.submitted | 2008-07-18 | |
dc.identifier.citation | Akerlof, G.A., 1970, Market for Lemons - Quality Uncertainty and Market Mechanism, Quarterly Journal of Economics, 84, 488-500.
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/26751 | - |
dc.description.abstract | 本論文將焦點放在風險溢酬的議題上,主要探討:(1) 費城股票交易所推出的外匯選擇權是否存在共通風險溢酬;與 (2) 房價的資訊不對稱溢酬。
第一部份是研究費城股票交易所推出的外匯選擇權是否存在共通風險溢酬。共通風險乃是指從各國匯率間捕抓共通因子來建構系統性風險。本文首先利用主成份分析來檢測1990年5月1日到1997年12月19日間,費城股票交易所的外匯選擇權之標的資產是否存在共通因子。接著利用Bakshi and Kapadia (2003a, b) 所提的Delta-Hedged Gains方法及模型,來檢定外匯選擇權是否存在波動風險溢酬。最後,將波動風險分解為共通性風險(系統性風險)及獨特性風險兩部分,深入了解、驗證,波動風險溢酬究竟是來自共通性風險還是獨特性風險。本研究需整合幾個資料庫的資料,其中含蓋外幣選擇權每日交易資料,美國、本國及外幣利率資料,以及外匯匯率資料。本研究發現 (1) 費城股票交易所的外匯選擇權之標的資產存在兩個共同因子; (2) 將Bakshi and Kapadia (2003a, b)的Delta-Hedged Gains模型擴展到外匯選擇權巿場,在英鎊、日幣、德國馬克、加拿大幣、瑞士法郎、澳幣以及法國法郎外匯選擇權中,發現皆存在顯著的負向Delta-Hedged Gains,且比重超過百分之63; (3) 費城股票交易所外匯選擇權巿場將non-ERM共同因子波動風險考慮進外匯選擇權訂價機制內。 第二部份則是利用Garmaise and Moskowitzs (2004) 所建立的外生測量訊息的方法並結合快樂訂價模型,進而衡量房屋巿場資訊不對稱的隱含價格。不動產巿場是典型的檸檬巿場,尤其是台灣的不動產巿場,到處充滿著各式資訊不對稱問題,包括逆向選擇及道德危險。在研究不動產巿場文獻中,衡量資訊不對稱的變數或方法,大致上可歸納為以下三種:(1)以買方與預購買之不動產的實際距離來衡量,距離越遠,資訊不對稱越嚴重;(2)以房屋的屋齡來衡量,屋齡越長提供的訊息越多,屋齡越短,資訊不對稱越嚴重;(3)以Garmaise and Moskowitzs (2004) 所建立的外生測量環境訊息品質的方法,簡稱為COD,COD越大代表環境的資訊品質落差越大,資訊不對稱越嚴重。本研究所使用的資料是從台灣內政部地政司獲取不動產巿場的交易資料,這些資料只能建構後兩種衡量資訊不對稱的方法,一為屋齡,另一則為COD。從快樂定價方法得到實證結果,發現屋齡對房價影響的係數為顯著負向,意指屋齡越大,資訊不對稱越小,使得房價相對越便宜;反之,屋齡越小,資訊不對稱越嚴重,使得房價相對越貴。然而,從COD係數來看,存在顯著正向影響,意指COD越大,資訊不對稱越嚴重,使得房價相對越貴。兩種衡量方法得出相同的結果,即台灣的房價存在資訊不對稱的風險溢酬,進一步更發現價格等級越高的房子,資訊不對稱溢酬越大。 | zh_TW |
dc.description.abstract | This thesis focuses on the topic of risk premium and mainly explores (1) “Common Risk Premiums in Currency Option Market” and (2) “Asymmetric Information Premiums in Housing Prices”.
The first part of this thesis is to investigate whether and how volatility risks are priced in currency option market. Using a integrated database containing information on daily transaction foreign currency options, domestic and foreign interest rates, and foreign exchange rates, this study finds the following results: (1) Two common factors exist in the underlying assets of the PHLX currency options on the period of May 1, 1990 to December 19, 1997. The first factor should better be defined as ERM factor, and the other factor is non-ERM factor. (2) The Delta-Hedged Gains are significantly negative in currency options, by extending the Delta-Hedged Gains model of Bakshi and Kapadia (2003a, b), dealing with equity options, to currency options. (3) Non-ERM common risk premiums are embedded in PHLX currency options. The second part combines an exogenous measure of information developed by Garmaise and Moskowitzs (2004) with various functional forms of hedonic models to measure the implicit price of asymmetric information in the housing market. Using real estate market transaction data from the Department of Land Administration at the Ministry of the Interior in Taiwan, the evidence presented in this investigation supports the existence of an asymmetric information premium in housing prices, and going a step further, this premium is greater when prices are high. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T07:23:55Z (GMT). No. of bitstreams: 1 ntu-97-D91724016-1.pdf: 411094 bytes, checksum: 65f1a1bd7778950f8c0dcc047392daae (MD5) Previous issue date: 2008 | en |
dc.description.tableofcontents | Contents
Chapter 1 Common Risk Premiums in PHLX Currency Option Market………….. 1 1.1 Introduction……………………………………………………………… 1 1.2 Empirical Hypotheses…………………………..………………………… 3 1.2.1 Common factors…………………………………………………… 3 1.2.2 Delta-Hedged Gains………………………………………………… 6 1.3 Data Description and Selection………………………………………… 10 1.4 Empirical Results……………………………………………………… 12 1.4.1 Characterizing the Common Factors……………………………… 13 1.4.2 The Negative Delta-Hedged Gains of Bakshi and Kapadia for Foreign Currency Options……………………………………………..…… 15 1.4.3 Common risk premiums…………………………………… 17 1.5 Conclusion…………………………..………………………………… 22 Chapter 2 Asymmetric Information Premiums in Housing Prices………….....…. 23 2.1 Introduction……………………………………………………………… 23 2.2 The History of Hedonic Pricing Methodology………………………… 25 2.3 Estimation of Asymmetric Information………………………………… 26 2.4 Empirical Analysis……………………………………………………… 27 2.4.1 Data…………………………………………………..…………… 27 2.4.2 Empirical results……………………………………………..…… 29 2.5 Conclusion and Implications…………………………..……………… 31 Reference……………………………………………………………………..…. 32 Appendix…………………………………………………………………..……. 43 | |
dc.language.iso | en | |
dc.title | 風險溢酬研究 | zh_TW |
dc.title | Essays on Risk Premium | en |
dc.type | Thesis | |
dc.date.schoolyear | 96-2 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 李揚,楊聲勇,王之彥,劉裕宏 | |
dc.subject.keyword | 貨幣選擇權,共通風險溢酬,Delta避險利得,ERM 風險,資訊不對稱,資訊不對稱溢酬,房屋價格,快樂定價方法, | zh_TW |
dc.subject.keyword | Currency options,Common risk premiums,Delta-Hedged Gains,ERM risk,Asymmetric information,Asymmetric information premium,Housing Price,Hedonic pricing method, | en |
dc.relation.page | 52 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2008-07-21 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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